如何衡量资产组合的风险?

Answer:

1. Risk-Adjusted Return (RAR)

• RAR measures the potential for loss in an investment portfolio while taking into account the level of risk involved.
• It is calculated by comparing the expected return of an investment portfolio to the risk-free rate (e.g., government bond yields).
• A higher RAR indicates a greater potential for generating a higher return but also a higher risk of losing money.

2. Sharpe Ratio

• The Sharpe ratio measures the excess return of an investment portfolio relative to a risk-free rate.
• It is calculated by dividing the portfolio's return by the standard deviation of its returns.
• A higher Sharpe ratio indicates that the portfolio has generated a higher return for the level of risk taken.

3. Sortino Ratio

• The Sortino ratio is a variation of the Sharpe ratio that is more robust to outliers.
• It is calculated by dividing the portfolio's return by the median of its returns.
• A higher Sortino ratio indicates that the portfolio has generated a higher return for the median level of risk taken.

4. Value at Risk (VaR)

• VaR is the maximum potential loss within a given probability level.
• It is calculated by multiplying the portfolio's value by the VaR factor, which is the probability of losing that amount of money within the given period.

5. Monte Carlo Simulation

• Monte Carlo simulation is a numerical method used to estimate the potential outcomes of an investment portfolio.
• It involves generating a large number of random scenarios and calculating the potential outcomes for each scenario.
• By analyzing the results, Monte Carlo simulation can provide insights into the potential range of returns and risks associated with an investment portfolio.

6. Correlation

• Correlation measures the degree to which two assets move together.
• A high correlation indicates that the assets tend to move in the same direction, while a low correlation indicates that they move independently.